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Re: st: restricted VAR for preselection of instruments


From   "Sebastian Kruk" <residuo.solow@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: restricted VAR for preselection of instruments
Date   Fri, 26 Dec 2008 21:55:46 -0200

Bob, thank you!

2008/12/24 Robert A Yaffee <bob.yaffee@nyu.edu>:
> Sebastien,
>    For successive VAR order and instrument selection, you might try something like:
> webuse lutkepohl2, clear
> local x1 dln_inv dln_inc dln_consump
> local x2 dln_inv dln_inc
> local x3 dln_inv dln_consump
>
> forvalues j=3(-1)1 {
> foreach var in `x1' `x2' `x3' {
> var `var' , lags(1/`j') lutstats
> est store mod`var'`j'
> }
> }
> est stats _all
>    Cheers,
>            Bob
>
>
> Robert A. Yaffee, Ph.D.
> Research Professor
> Silver School of Social Work
> New York University
>
>
> Biosketch: http://homepages.nyu.edu/~ray1/Biosketch2008.pdf
>
> CV:  http://homepages.nyu.edu/~ray1/vita.pdf
>
> ----- Original Message -----
> From: Robert A Yaffee <bob.yaffee@nyu.edu>
> Date: Wednesday, December 24, 2008 4:18 pm
> Subject: Re: st: restricted VAR for preselection of instruments
> To: statalist@hsphsun2.harvard.edu
>
>
>> Sebastien,
>>    Alternatively, you could try something like
>> var dln_inv dln_inc dln_consump, lags(1/3) lutstats
>> est store mod1
>> var dln_inv dln_inc dln_consump, lags(1/2) lutstats
>> est store mod2
>> var dln_inv dln_inc , lags(1/2) lutstats
>> est store mod3
>> est stats _all
>>
>>      Regards,
>>               Bob
>>
>>
>>
>> Robert A. Yaffee, Ph.D.
>> Research Professor
>> Silver School of Social Work
>> New York University
>>
>>
>> Biosketch: http://homepages.nyu.edu/~ray1/Biosketch2008.pdf
>>
>> CV:  http://homepages.nyu.edu/~ray1/vita.pdf
>>
>> ----- Original Message -----
>> From: Robert A Yaffee <bob.yaffee@nyu.edu>
>> Date: Wednesday, December 24, 2008 4:10 pm
>> Subject: Re: st: restricted VAR for preselection of instruments
>> To: statalist@hsphsun2.harvard.edu
>>
>>
>> > Sebastien,
>> >   I think you could set up a do file with your sequential VAR
>> > equations specified within it.
>> > After each equation, you could save the e(hqic) or e(sbic) and
>> compare
>> > them to ascertain
>> > which is the lowest.
>> >   Regards,
>> >           Bob Yaffee
>> >
>> >
>> >
>> > Robert A. Yaffee, Ph.D.
>> > Research Professor
>> > Silver School of Social Work
>> > New York University
>> >
>> >
>> > Biosketch: http://homepages.nyu.edu/~ray1/Biosketch2008.pdf
>> >
>> > CV:  http://homepages.nyu.edu/~ray1/vita.pdf
>> >
>> > ----- Original Message -----
>> > From: Sebastian Kruk <residuo.solow@gmail.com>
>> > Date: Wednesday, December 24, 2008 3:05 pm
>> > Subject: st: restricted VAR for preselection of instruments
>> > To: statalist@hsphsun2.harvard.edu
>> >
>> >
>> > > Dear stalistusers,
>> > >
>> > >  I would like to do a preselection of possible instruments within
>> a
>> > > VAR. The two endogenous variables variables π(t+1) and s(t) are
>> > > regressed on all potential instruments. This specification can be
>> > > formalized as:
>> > >
>> > > π(t+1)=v1+A11*π(t-1)+A12*π(t-2)+...+A1j*π(t-j)+B11*x(t-1)+B12*x(t-2)+...+B1j*x(t-j)
>> > > s(t)=v2+A21*s(t-1)+A22*s(t-2)+...+A2j*π(t-j)+B21*x(t-1)+B22*x(t-2)+...+B2j*x(t-j)
>> > >
>> > > with v1,v2 a a deterministic term, and x(t−j) the vector of all other
>> > > predetermined variables with lag j. The maximal lag length is L1 =
>> 10
>> > > and L2 = 5.
>> > >
>> > > Can I apply a model reduction procedure that works through a
>> > > sequential elimination of regressors in order to obtain a model that
>> > > lead to the smallest value of the particular information criterion
>> as
>> > > Lutkepohl, H. (2005). New introduction to multiple time series
>> > > analysis, Springer?
>> > >
>> > > I follow Scheufele R. (2008). Evaluating the German (New Keynesian)
>> > > Phillips Curve, IWH-Diskussionspapiere 10/2008.
>> > >
>> > > Thanks in advance,
>> > >
>> > > Sebastian.
>> > > *
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